/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.model.option.pricing.analytic.formula;
import static org.testng.AssertJUnit.assertEquals;
import static org.testng.AssertJUnit.assertTrue;
import org.testng.annotations.Test;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve;
import com.opengamma.analytics.financial.model.option.definition.Barrier;
import com.opengamma.analytics.financial.model.option.definition.Barrier.BarrierType;
import com.opengamma.analytics.financial.model.option.definition.Barrier.KnockType;
import com.opengamma.analytics.financial.model.option.definition.Barrier.ObservationType;
import com.opengamma.analytics.financial.model.option.definition.EuropeanStandardBarrierOptionDefinition;
import com.opengamma.analytics.financial.model.option.definition.StandardOptionDataBundle;
import com.opengamma.analytics.financial.model.option.pricing.analytic.AnalyticOptionModel;
import com.opengamma.analytics.financial.model.option.pricing.analytic.EuropeanStandardBarrierOptionModel;
import com.opengamma.analytics.financial.model.volatility.surface.VolatilitySurface;
import com.opengamma.analytics.math.curve.ConstantDoublesCurve;
import com.opengamma.analytics.math.function.Function1D;
import com.opengamma.analytics.math.surface.ConstantDoublesSurface;
import com.opengamma.util.time.DateUtils;
import com.opengamma.util.time.Expiry;
public class BlackBarrierPriceFunctionTest {
private static final ZonedDateTime REFERENCE_DATE = DateUtils.getUTCDate(2011, 7, 1);
private static final ZonedDateTime EXPIRY_DATE = DateUtils.getUTCDate(2015, 1, 2);
private static final double EXPIRY_TIME = DateUtils.getDifferenceInYears(REFERENCE_DATE, EXPIRY_DATE);
private static final double STRIKE_MID = 100;
private static final double STRIKE_HIGH = 120;
private static final boolean IS_CALL = true;
private static final EuropeanVanillaOption VANILLA_CALL_K100 = new EuropeanVanillaOption(STRIKE_MID, EXPIRY_TIME, IS_CALL);
private static final EuropeanVanillaOption VANILLA_PUT_K100 = new EuropeanVanillaOption(STRIKE_MID, EXPIRY_TIME, !IS_CALL);
private static final EuropeanVanillaOption VANILLA_PUT_KHI = new EuropeanVanillaOption(STRIKE_HIGH, EXPIRY_TIME, !IS_CALL);
private static final Barrier BARRIER_DOWN_IN = new Barrier(KnockType.IN, BarrierType.DOWN, ObservationType.CONTINUOUS, 90);
private static final Barrier BARRIER_DOWN_OUT = new Barrier(KnockType.OUT, BarrierType.DOWN, ObservationType.CONTINUOUS, 90);
private static final Barrier BARRIER_UP_IN = new Barrier(KnockType.IN, BarrierType.UP, ObservationType.CONTINUOUS, 110);
private static final Barrier BARRIER_UP_OUT = new Barrier(KnockType.OUT, BarrierType.UP, ObservationType.CONTINUOUS, 110);
private static final double REBATE = 2;
private static final double SPOT = 105;
private static final double RATE_DOM = 0.05; // Domestic rate
private static final double RATE_FOR = 0.02; // Foreign rate
private static final double COST_OF_CARRY = RATE_DOM - RATE_FOR; // Domestic - Foreign rate
private static final double VOLATILITY = 0.20;
private static final BlackBarrierPriceFunction BARRIER_FUNCTION = BlackBarrierPriceFunction.getInstance();
private static final double DF_FOR = Math.exp(-RATE_FOR * EXPIRY_TIME); // 'Base Ccy
private static final double DF_DOM = Math.exp(-RATE_DOM * EXPIRY_TIME); // 'Quote Ccy
private static final double FWD_FX = SPOT * DF_FOR / DF_DOM;
private static final BlackFunctionData DATA_BLACK = new BlackFunctionData(FWD_FX, DF_DOM, VOLATILITY);
private static final BlackPriceFunction BLACK_FUNCTION = new BlackPriceFunction();
@Test
/** Tests the 'In-Out Parity' condition: Without rebates, the price of a Knock-In plus a Knock-Out of arbitrary barrier level must equal that of the underlying vanilla option */
public void inOutParityWithoutRebate() {
// Vanilla
final Function1D<BlackFunctionData, Double> fcnVanillaCall = BLACK_FUNCTION.getPriceFunction(VANILLA_CALL_K100);
final double pxVanillaCall = fcnVanillaCall.evaluate(DATA_BLACK);
// Barriers without rebate
final double noRebate = 0.0;
final double priceDownIn = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_DOWN_IN, noRebate, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY);
final double priceDownOut = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_DOWN_OUT, noRebate, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY);
assertEquals("Knock In-Out Parity fails", 1.0, pxVanillaCall / (priceDownIn + priceDownOut), 1.e-6);
}
@Test
/**
* Tests the 'In-Out Parity' condition: Knock-In's pay rebate at maturity if barrier isn't hit. Knock-Out pays at moment barrier is hit.
* The discounting issue can be sidestepped by setting rates to 0.
*/
public void inOutParityWithRebate() {
// Vanilla
final Function1D<BlackFunctionData, Double> fcnVanillaCall = BLACK_FUNCTION.getPriceFunction(VANILLA_CALL_K100);
final BlackFunctionData zeroRatesMarket = new BlackFunctionData(SPOT, 1.0, VOLATILITY);
final double pxVanillaCall = fcnVanillaCall.evaluate(zeroRatesMarket);
// Barriers with rebate
final double priceDownInRebate = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_DOWN_IN, REBATE, SPOT, 0.0, 0.0, VOLATILITY);
final double priceDownOutRebate = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_DOWN_OUT, REBATE, SPOT, 0.0, 0.0, VOLATILITY);
assertEquals("Knock In-Out Parity fails", 1.0, (pxVanillaCall + REBATE) / (priceDownInRebate + priceDownOutRebate), 1.e-6);
}
@Test
/** Tests the 'In-Out Parity' condition: The price of a Knock-In plus a Knock-Out of arbitrary barrier level must equal that of the underlying vanilla option + value of the rebate */
public void inOutParityMorePathsWithRebate() {
// Market with zero rates, domestic and foreign
final BlackFunctionData zeroRatesMarket = new BlackFunctionData(SPOT, 1.0, VOLATILITY);
final double rateDomestic = 0.0;
final double rateForeign = 0.0;
final double costOfCarry = rateDomestic - rateForeign;
// Rebate
final double pxRebate = REBATE;
// 2 - Vanillas - Call and Put
final Function1D<BlackFunctionData, Double> fcnVanillaCall = BLACK_FUNCTION.getPriceFunction(VANILLA_CALL_K100);
final double pxVanillaCall = fcnVanillaCall.evaluate(zeroRatesMarket);
final Function1D<BlackFunctionData, Double> fcnVanillaPut = BLACK_FUNCTION.getPriceFunction(VANILLA_PUT_K100);
final double pxVanillaPut = fcnVanillaPut.evaluate(zeroRatesMarket);
// Barriers: Up and Down, Call and Put, In and Out
final double pxDownInCall = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_DOWN_IN, REBATE, SPOT, costOfCarry, rateDomestic, VOLATILITY);
final double pxDownOutCall = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_DOWN_OUT, REBATE, SPOT, costOfCarry, rateDomestic, VOLATILITY);
assertEquals("Knock In-Out Parity fails", 1.0, (pxVanillaCall + pxRebate) / (pxDownInCall + pxDownOutCall), 1.e-6);
//assertTrue("Knock In-Out Parity fails", Math.abs((pxVanillaCall + pxRebate) / (pxDownInCall + pxDownOutCall) - 1) < 1.e-6);
final double pxDownInPut = BARRIER_FUNCTION.getPrice(VANILLA_PUT_K100, BARRIER_DOWN_IN, REBATE, SPOT, costOfCarry, rateDomestic, VOLATILITY);
final double pxDownOutPut = BARRIER_FUNCTION.getPrice(VANILLA_PUT_K100, BARRIER_DOWN_OUT, REBATE, SPOT, costOfCarry, rateDomestic, VOLATILITY);
assertTrue("Knock In-Out Parity fails", Math.abs((pxVanillaPut + pxRebate) / (pxDownInPut + pxDownOutPut) - 1) < 1.e-6);
final double pxUpInCall = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_UP_IN, REBATE, SPOT, costOfCarry, rateDomestic, VOLATILITY);
final double pxUpOutCall = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_UP_OUT, REBATE, SPOT, costOfCarry, rateDomestic, VOLATILITY);
assertTrue("Knock In-Out Parity fails", Math.abs((pxVanillaCall + pxRebate) / (pxUpInCall + pxUpOutCall) - 1) < 1.e-6);
final double pxUpInPut = BARRIER_FUNCTION.getPrice(VANILLA_PUT_K100, BARRIER_UP_IN, REBATE, SPOT, costOfCarry, rateDomestic, VOLATILITY);
final double pxUpOutPut = BARRIER_FUNCTION.getPrice(VANILLA_PUT_K100, BARRIER_UP_OUT, REBATE, SPOT, costOfCarry, rateDomestic, VOLATILITY);
assertTrue("Knock In-Out Parity fails", Math.abs((pxVanillaPut + pxRebate) / (pxUpInPut + pxUpOutPut) - 1) < 1.e-6);
// Let's try the Up case with Barrier < Strike. To do this, I create a new vanilla with K120 (> Barrier110)
final Function1D<BlackFunctionData, Double> fcnVanillaPutHiK = BLACK_FUNCTION.getPriceFunction(VANILLA_PUT_KHI);
final double pxVanillaPutHiK = fcnVanillaPutHiK.evaluate(zeroRatesMarket);
final double pxUpInPutHiK = BARRIER_FUNCTION.getPrice(VANILLA_PUT_KHI, BARRIER_UP_IN, REBATE, SPOT, costOfCarry, rateDomestic, VOLATILITY);
final double pxUpOutPutHiK = BARRIER_FUNCTION.getPrice(VANILLA_PUT_KHI, BARRIER_UP_OUT, REBATE, SPOT, costOfCarry, rateDomestic, VOLATILITY);
assertTrue("Knock In-Out Parity fails", Math.abs((pxVanillaPutHiK + pxRebate) / (pxUpInPutHiK + pxUpOutPutHiK) - 1) < 1.e-6);
}
@Test
/** Tests the 'In-Out Parity' condition: The price of a Knock-In plus a Knock-Out of arbitrary barrier level must equal that of the underlying vanilla option + value of the rebate */
public void impossibleToHitBarrierIsVanilla() {
final Barrier veryLowKnockIn = new Barrier(KnockType.IN, BarrierType.DOWN, ObservationType.CONTINUOUS, 1e-6);
final Barrier veryLowKnockOut = new Barrier(KnockType.OUT, BarrierType.DOWN, ObservationType.CONTINUOUS, 1e-6);
final Barrier veryHighKnockIn = new Barrier(KnockType.IN, BarrierType.UP, ObservationType.CONTINUOUS, 1e6);
final Barrier veryHighKnockOut = new Barrier(KnockType.OUT, BarrierType.UP, ObservationType.CONTINUOUS, 1e6);
final double pxRebate = DF_DOM * REBATE;
final Function1D<BlackFunctionData, Double> fcnVanillaCall = BLACK_FUNCTION.getPriceFunction(VANILLA_CALL_K100);
final double pxVanillaCall = fcnVanillaCall.evaluate(DATA_BLACK);
// KnockIn's with impossible to reach barrier's are guaranteed to pay the rebate at maturity
final double pxDownInPut = BARRIER_FUNCTION.getPrice(VANILLA_PUT_K100, veryLowKnockIn, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY);
assertTrue("VeryLowKnockInBarrier doesn't match rebate", pxDownInPut / pxRebate - 1 < 1e-6);
final double pxDownInCall = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, veryLowKnockIn, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY);
assertTrue("VeryLowKnockInBarrier doesn't match rebate", pxDownInCall / pxRebate - 1 < 1e-6);
final double pxUpInCall = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, veryHighKnockIn, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY);
assertTrue("VeryHighKnockInBarrier doesn't match rebate", pxUpInCall / pxRebate - 1 < 1e-6);
// KnockOut's with impossible to reach barrier's are guaranteed to pay the value of the underlying vanilla
final double pxDownOutCall = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, veryLowKnockOut, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY);
assertTrue("VeryLowKnockInBarrier doesn't match rebate", Math.abs(pxDownOutCall / pxVanillaCall - 1) < 1e-6);
// Derivatives
final double[] derivs = new double[5];
BARRIER_FUNCTION.getPriceAdjoint(VANILLA_CALL_K100, veryLowKnockIn, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY, derivs);
assertTrue("Impossible KnockIn: rate sens is incorrect", derivs[2] / Math.abs((-1 * EXPIRY_TIME * DF_DOM * REBATE) - 1) < 1e-6);
assertEquals("Impossible KnockIn: Encountered derivative, other than d/dr, != 0", 0.0, derivs[0] + derivs[1] + derivs[3] + derivs[4], 1.0e-6);
BARRIER_FUNCTION.getPriceAdjoint(VANILLA_CALL_K100, veryHighKnockIn, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY, derivs);
assertTrue("Impossible KnockIn: rate sens is incorrect", derivs[2] / Math.abs((-1 * EXPIRY_TIME * DF_DOM * REBATE) - 1) < 1e-6);
assertEquals("Impossible KnockIn: Encountered derivative, other than d/dr, != 0", 0.0, derivs[0] + derivs[1] + derivs[3] + derivs[4], 1.0e-6);
// Barrier: [0] spot, [1] strike, [2] rate, [3] cost-of-carry, [4] volatility.
BARRIER_FUNCTION.getPriceAdjoint(VANILLA_CALL_K100, veryLowKnockOut, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY, derivs);
// Vanilla: [0] the price, [1] the derivative with respect to the forward, [2] the derivative with respect to the volatility and [3] the derivative with respect to the strike.
final double[] vanillaDerivs = BLACK_FUNCTION.getPriceAdjoint(VANILLA_CALL_K100, DATA_BLACK);
assertEquals("Impossible KnockOut: Vega doesn't match vanilla", vanillaDerivs[2], derivs[4], 1e-6);
assertEquals("Impossible KnockOut: Dual Delta (d/dK) doesn't match vanilla", vanillaDerivs[3], derivs[1], 1e-6);
assertEquals("Impossible KnockOut: Delta doesn't match vanilla", vanillaDerivs[1] * DF_FOR / DF_DOM, derivs[0], 1e-6);
BARRIER_FUNCTION.getPriceAdjoint(VANILLA_CALL_K100, veryHighKnockOut, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY, derivs);
assertEquals("Impossible KnockOut: Vega doesn't match vanilla", vanillaDerivs[2], derivs[4], 1e-6);
assertEquals("Impossible KnockOut: Dual Delta (d/dK) doesn't match vanilla", vanillaDerivs[3], derivs[1], 1e-6);
assertEquals("Impossible KnockOut: Delta doesn't match vanilla", vanillaDerivs[1] * DF_FOR / DF_DOM, derivs[0], 1e-6);
}
@Test
/**
* Tests the comparison with the other implementation. This test may be removed when only one version remains.
*/
public void comparison() {
final AnalyticOptionModel<EuropeanStandardBarrierOptionDefinition, StandardOptionDataBundle> model = new EuropeanStandardBarrierOptionModel();
final StandardOptionDataBundle data = new StandardOptionDataBundle(YieldCurve.from(ConstantDoublesCurve.from(RATE_DOM)), COST_OF_CARRY, new VolatilitySurface(
ConstantDoublesSurface.from(VOLATILITY)),
SPOT, REFERENCE_DATE);
final Expiry expiry = new Expiry(EXPIRY_DATE);
final double priceDI1 = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_DOWN_IN, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY);
final EuropeanStandardBarrierOptionDefinition optionBarrierDI = new EuropeanStandardBarrierOptionDefinition(STRIKE_MID, expiry, IS_CALL, BARRIER_DOWN_IN, REBATE);
final double priceDI2 = model.getPricingFunction(optionBarrierDI).evaluate(data);
assertEquals("Comparison Down In", priceDI2, priceDI1, 1.0E-10);
final double priceDO1 = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_DOWN_OUT, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY);
final EuropeanStandardBarrierOptionDefinition optionBarrierDO = new EuropeanStandardBarrierOptionDefinition(STRIKE_MID, expiry, IS_CALL, BARRIER_DOWN_OUT, REBATE);
final double priceDO2 = model.getPricingFunction(optionBarrierDO).evaluate(data);
assertEquals("Comparison Down Out", priceDO2, priceDO1, 1.0E-10);
final double priceUI1 = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_UP_IN, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY);
final EuropeanStandardBarrierOptionDefinition optionBarrierUI = new EuropeanStandardBarrierOptionDefinition(STRIKE_MID, expiry, IS_CALL, BARRIER_UP_IN, REBATE);
final double priceUI2 = model.getPricingFunction(optionBarrierUI).evaluate(data);
assertEquals("Comparison Up In", priceUI2, priceUI1, 1.0E-10);
final double priceUO1 = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_UP_OUT, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY);
final EuropeanStandardBarrierOptionDefinition optionBarrierUO = new EuropeanStandardBarrierOptionDefinition(STRIKE_MID, expiry, IS_CALL, BARRIER_UP_OUT, REBATE);
final double priceUO2 = model.getPricingFunction(optionBarrierUO).evaluate(data);
assertEquals("Comparison Up Out", priceUO2, priceUO1, 1.0E-10);
final double vol0 = 0.0;
final double priceVol01 = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_DOWN_IN, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, vol0);
final StandardOptionDataBundle data0 = new StandardOptionDataBundle(YieldCurve.from(ConstantDoublesCurve.from(RATE_DOM)), COST_OF_CARRY, new VolatilitySurface(ConstantDoublesSurface.from(vol0)),
SPOT,
REFERENCE_DATE);
final double priceVol02 = model.getPricingFunction(optionBarrierDI).evaluate(data0);
assertEquals(priceVol02, priceVol01, 1.0E-10);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void exceptionDown() {
BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_DOWN_IN, REBATE, 85.0, COST_OF_CARRY, RATE_DOM, VOLATILITY);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void exceptionUp() {
final Barrier barrierUp = new Barrier(KnockType.IN, BarrierType.UP, ObservationType.CONTINUOUS, 90);
BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, barrierUp, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY);
}
@Test
/**
* Tests the adjoint implementation (with computation of the derivatives).
*/
public void adjointPrice() {
final double[] derivatives = new double[5];
final double priceDI = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_DOWN_IN, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY);
final double priceDIAdjoint = BARRIER_FUNCTION.getPriceAdjoint(VANILLA_CALL_K100, BARRIER_DOWN_IN, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY, derivatives);
assertEquals("Black single barrier: Adjoint price Down In", priceDI, priceDIAdjoint, 1.0E-10);
final double priceDO = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_DOWN_OUT, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY);
final double priceDOAdjoint = BARRIER_FUNCTION.getPriceAdjoint(VANILLA_CALL_K100, BARRIER_DOWN_OUT, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY, derivatives);
assertEquals("Black single barrier: Adjoint price Down Out", priceDO, priceDOAdjoint, 1.0E-10);
final double priceUI = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_UP_IN, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY);
final double priceUIAdjoint = BARRIER_FUNCTION.getPriceAdjoint(VANILLA_CALL_K100, BARRIER_UP_IN, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY, derivatives);
assertEquals("Black single barrier: Adjoint price Up In", priceUI, priceUIAdjoint, 1.0E-10);
final double priceUO = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_UP_OUT, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY);
final double priceUOAdjoint = BARRIER_FUNCTION.getPriceAdjoint(VANILLA_CALL_K100, BARRIER_UP_OUT, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY, derivatives);
assertEquals("Black single barrier: Adjoint price Up Out", priceUO, priceUOAdjoint, 1.0E-10);
}
@Test
/**
* Tests the adjoint implementation (with computation of the derivatives).
*/
public void adjointDerivatives() {
final double shiftSpot = 0.001;
final double shiftRate = 1.0E-8;
final double shiftCoC = 1.0E-8;
final double shiftVol = 1.0E-8;
final double[] derivatives = new double[5];
// DOWN-IN
final double priceDI = BARRIER_FUNCTION.getPriceAdjoint(VANILLA_CALL_K100, BARRIER_DOWN_IN, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY, derivatives);
final double priceDISpot = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_DOWN_IN, REBATE, SPOT + shiftSpot, COST_OF_CARRY, RATE_DOM, VOLATILITY);
assertEquals("Black single barrier: Adjoint spot derivative - Down In", (priceDISpot - priceDI) / shiftSpot, derivatives[0], 1.0E-5);
final double priceDIRate = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_DOWN_IN, REBATE, SPOT, COST_OF_CARRY, RATE_DOM + shiftRate, VOLATILITY);
assertEquals("Black single barrier: Adjoint rate derivative - Down In", (priceDIRate - priceDI) / shiftRate, derivatives[2], 1.0E-5);
final double priceDICoC = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_DOWN_IN, REBATE, SPOT, COST_OF_CARRY + shiftCoC, RATE_DOM, VOLATILITY);
assertEquals("Black single barrier: Adjoint cost-of-carry derivative - Down In", (priceDICoC - priceDI) / shiftCoC, derivatives[3], 1.0E-5);
final double priceDIVol = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_DOWN_IN, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY + shiftVol);
assertEquals("Black single barrier: Adjoint cost-of-carry derivative - Down In", (priceDIVol - priceDI) / shiftVol, derivatives[4], 1.0E-4);
// DOWN-OUT
final double priceDO = BARRIER_FUNCTION.getPriceAdjoint(VANILLA_CALL_K100, BARRIER_DOWN_OUT, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY, derivatives);
final double priceDOSpot = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_DOWN_OUT, REBATE, SPOT + shiftSpot, COST_OF_CARRY, RATE_DOM, VOLATILITY);
assertEquals("Black single barrier: Adjoint spot derivative - Down Out", (priceDOSpot - priceDO) / shiftSpot, derivatives[0], 2.0E-4);
final double priceDORate = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_DOWN_OUT, REBATE, SPOT, COST_OF_CARRY, RATE_DOM + shiftRate, VOLATILITY);
assertEquals("Black single barrier: Adjoint rate derivative - Down Out", (priceDORate - priceDO) / shiftRate, derivatives[2], 1.0E-5);
final double priceDOCoC = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_DOWN_OUT, REBATE, SPOT, COST_OF_CARRY + shiftCoC, RATE_DOM, VOLATILITY);
assertEquals("Black single barrier: Adjoint cost-of-carry derivative - Down Out", (priceDOCoC - priceDO) / shiftCoC, derivatives[3], 1.0E-4);
final double priceDOVol = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_DOWN_OUT, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY + shiftVol);
assertEquals("Black single barrier: Adjoint cost-of-carry derivative - Down Out", (priceDOVol - priceDO) / shiftVol, derivatives[4], 1.0E-4);
// UP-IN
final double priceUI = BARRIER_FUNCTION.getPriceAdjoint(VANILLA_CALL_K100, BARRIER_UP_IN, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY, derivatives);
final double priceUISpot = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_UP_IN, REBATE, SPOT + shiftSpot, COST_OF_CARRY, RATE_DOM, VOLATILITY);
assertEquals("Black single barrier: Adjoint spot derivative - Up In", (priceUISpot - priceUI) / shiftSpot, derivatives[0], 2.0E-4);
final double priceUIRate = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_UP_IN, REBATE, SPOT, COST_OF_CARRY, RATE_DOM + shiftRate, VOLATILITY);
assertEquals("Black single barrier: Adjoint rate derivative - Up In", (priceUIRate - priceUI) / shiftRate, derivatives[2], 1.0E-5);
final double priceUICoC = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_UP_IN, REBATE, SPOT, COST_OF_CARRY + shiftCoC, RATE_DOM, VOLATILITY);
assertEquals("Black single barrier: Adjoint cost-of-carry derivative - Up In", (priceUICoC - priceUI) / shiftCoC, derivatives[3], 1.0E-4);
final double priceUIVol = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_UP_IN, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY + shiftVol);
assertEquals("Black single barrier: Adjoint cost-of-carry derivative - Up In", (priceUIVol - priceUI) / shiftVol, derivatives[4], 1.0E-5);
// UP-OUT
final double priceUO = BARRIER_FUNCTION.getPriceAdjoint(VANILLA_CALL_K100, BARRIER_UP_OUT, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY, derivatives);
final double priceUOSpot = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_UP_OUT, REBATE, SPOT + shiftSpot, COST_OF_CARRY, RATE_DOM, VOLATILITY);
assertEquals("Black single barrier: Adjoint spot derivative - Up Out", (priceUOSpot - priceUO) / shiftSpot, derivatives[0], 1.0E-4);
final double priceUORate = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_UP_OUT, REBATE, SPOT, COST_OF_CARRY, RATE_DOM + shiftRate, VOLATILITY);
assertEquals("Black single barrier: Adjoint rate derivative - Up Out", (priceUORate - priceUO) / shiftRate, derivatives[2], 1.0E-5);
final double priceUOCoC = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_UP_OUT, REBATE, SPOT, COST_OF_CARRY + shiftCoC, RATE_DOM, VOLATILITY);
assertEquals("Black single barrier: Adjoint cost-of-carry derivative - Up Out", (priceUOCoC - priceUO) / shiftCoC, derivatives[3], 1.0E-5);
final double priceUOVol = BARRIER_FUNCTION.getPrice(VANILLA_CALL_K100, BARRIER_UP_OUT, REBATE, SPOT, COST_OF_CARRY, RATE_DOM, VOLATILITY + shiftVol);
assertEquals("Black single barrier: Adjoint cost-of-carry derivative - Up Out", (priceUOVol - priceUO) / shiftVol, derivatives[4], 2.0E-5);
}
}